# Wydawnictwa / Czasopisma IMPAN / Bulletin Polish Acad. Sci. Math. / Wszystkie zeszyty

## Euler's Approximations of Solutions of Reflecting SDEs with Discontinuous Coefficients

### Tom 61 / 2013

Bulletin Polish Acad. Sci. Math. 61 (2013), 79-85 MSC: 60H20, 60H99, 60F17. DOI: 10.4064/ba61-1-9

#### Streszczenie

Let $D$ be either a convex domain in $\mathbb{R}^d$ or a domain satisfying the conditions (A) and (B) considered by Lions and Sznitman (1984) and Saisho (1987). We investigate convergence in law as well as in ${L}^p$ for the Euler and Euler–Peano schemes for stochastic differential equations in $D$ with normal reflection at the boundary. The coefficients are measurable, continuous almost everywhere with respect to the Lebesgue measure, and the diffusion coefficient may degenerate on some subsets of the domain.

#### Autorzy

• Alina Semrau-GiłkaInstitute of Mathematics and Physics
University of Technology and Life Sciences
Kaliskiego 7
85-796 Bydgoszcz, Poland
e-mail

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